Market Microstructure and Trading
Module code: EC7104
In this module you will explore how trading in financial markets works from both a theoretical and a practical perspective. We will investigate the motives and strategies of traders, dealers, and other financial market participants. The module is divided into three equal parts: theoretical models of trading, empirical analysis of financial data, and trading strategies.
Topics covered
- Introduction to financial markets
- Inventory models of trading
- Information-based models
- Models of limit order markets
- Empirical market microstructure
- The dynamics of financial returns
- Market volatility
- Technical trading
- Arbitrage trading
- Back-testing trading
- Execution strategies